Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Professor of Economic Statistics

Via Battisti, 241

Padova, 35121

Italy

SCHOLARLY PAPERS

84

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Scholarly Papers (84)

1.
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Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,760 (1,893)

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non-standard errors, multi-analyst approach, liquidity

2.

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Number of pages: 29 Posted: 05 Feb 2009 Last Revised: 24 Jun 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,095 (28,233)
Citation 18

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Conditional correlations, conditional covariances, diagonal models, forecasting, generalized models, Hadamard models, scalar models, targeting

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Number of pages: 19 Posted: 07 Feb 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 606 (62,216)
Citation 7

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Conditional Correlations, Conditional Covariances, Diagonal Models, Forecasting, Generalized Models, Hadamard Models, Scalar models, Targeting

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Journal of Economic Surveys, Vol. 26, Issue 4, pp. 736-751, 2012
Number of pages: 16 Posted: 07 Aug 2012
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 4 (884,811)

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Asymptotic theory, Conditional correlations, Conditional covariances, Diagonal models, Scalar models, Targeting

4.

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Number of pages: 50 Posted: 06 Aug 2008 Last Revised: 24 Jun 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 538 (73,206)

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multivariate asymmetry, conditional variance, stationarity conditions, asymptotic theory, multivariate news impact curve

5.
Downloads 522 ( 75,944)
Citation 11

The Ten Commandments for Managing Investments

Number of pages: 6 Posted: 18 Feb 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 520 (75,497)
Citation 8

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Ten Commandments, managing investments, investment rules, risk management, financial advisers, portfolio diversification

The Ten Commandments for Managing Investments

Journal of Economic Surveys, Vol. 24, Issue 1, pp. 196-200, February 2010
Number of pages: 5 Posted: 06 Jan 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 2 (912,281)

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6.

A Generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation

University Ca' Foscari of Venice Economics Research Paper No. 53/06
Number of pages: 21 Posted: 30 Nov 2006
Monica Billio, Monica Billio and Massimiliano Caporin
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University of Padua - Department of Statistical Sciences
Downloads 487 (82,621)
Citation 11

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Dynamic correlations, Block-structures, Flexible correlation models

7.

Volatility Threshold Dynamic Conditional Correlations: An International Analysis

Forthcoming, Journal of Financial Econometrics
Number of pages: 45 Posted: 05 Mar 2007 Last Revised: 29 Oct 2012
Maria Kasch and Massimiliano Caporin
University of Mannheim - Department of Finance and University of Padua - Department of Statistical Sciences
Downloads 438 (93,625)
Citation 4

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Dynamic Correlations, Volatility Thresholds, Comovement, Contagion

A Scientific Classification of Volatility Models

Number of pages: 7 Posted: 10 Dec 2008 Last Revised: 24 Mar 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 428 (95,418)

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Volatility, taxonomy, GARCH, stochastic volatility, realized volatility

A Scientific Classification of Volatility Models

Journal of Economic Surveys, Vol. 24, Issue 1, pp. 192-195, February 2010
Number of pages: 4 Posted: 06 Jan 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 3 (897,702)

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9.

Ranking Multivariate GARCH Models by Problem Dimension

Number of pages: 107 Posted: 09 May 2010 Last Revised: 16 Oct 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 402 (103,414)
Citation 15

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Covariance forecasting, model confidence set, model ranking, MGARCH, model comparison

10.

The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification

SAFE Working Paper No. 166
Number of pages: 63 Posted: 13 Feb 2017
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Joint Research Center of the European Commission and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 397 (104,941)
Citation 11

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CAPM, volatility, network, interconnections, systematic risk

11.

Model Selection and Testing of Conditional and Stochastic Volatility Models

Number of pages: 30 Posted: 14 Sep 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 359 (117,577)
Citation 3

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Volatility Model Selection, Volatility Model Comparison, Non-Nested Models, Model Confidence Set, Value-At-Risk Forecasts, Asymmetry, Leverage

12.

Systemic Co-Jumps

SAFE Working Paper No. 149
Number of pages: 49 Posted: 15 Oct 2016
Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 355 (119,042)
Citation 4

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Jumps, Return predictability, Systemic events, Variance Risk Premium

13.

On the Predictability of Stock Prices: A Case for High and Low Prices

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 18 Jun 2011 Last Revised: 15 Jun 2013
Massimiliano Caporin, Angelo Ranaldo and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, University of St. Gallen and Aarhus University - CREATES
Downloads 348 (121,648)
Citation 2

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high and low prices, predictability of asset prices, range, fractional cointegration, exit/entry trading signals, chart/technical analysis

14.

Market Volatility, Optimal Portfolios and Naive Asset Allocations

Ca Foscari University of Venice Working Paper No. 08/WP/2012
Number of pages: 18 Posted: 10 Jul 2012 Last Revised: 03 Oct 2012
Massimiliano Caporin and Loriana Pelizzon
University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 343 (123,617)

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mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

Networks in Risk Spillovers: A Multivariate GARCH Perspective

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 03/WP/ 2016
Number of pages: 52 Posted: 04 Mar 2016
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, European Commission-Joint Research Centre and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 176 (236,402)
Citation 4

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spatial GARCH, network, risk spillover, financial spillover

Networks in Risk Spillovers: A Multivariate GARCH Perspective

SAFE Working Paper No. 225
Number of pages: 86 Posted: 27 Aug 2018 Last Revised: 28 Aug 2018
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, European Commission-Joint Research Centre and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 151 (269,032)
Citation 4

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spatial GARCH; network; risk spillover; financial spillover

16.

On the Evaluation of Marginal Expected Shortfall

Number of pages: 7 Posted: 17 Oct 2010
Massimiliano Caporin and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences and Aarhus University - CREATES
Downloads 326 (130,568)
Citation 3

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Marginal Expected Shortfall, Log-Returns, Systemic Risk

17.

Block Structure Multivariate Stochastic Volatility Models

Number of pages: 35 Posted: 18 Dec 2009
Manabu Asai, Massimiliano Caporin and Michael McAleer
Soka University - Faculty of Economics, University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 317 (134,345)
Citation 5

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block structures; multivariate stochastic volatility; curse of dimensionality

18.

Forecasting Realized (Co)Variances with a Block Structure Wishart Autoregressive Model

Number of pages: 30 Posted: 12 Oct 2008 Last Revised: 15 Jun 2013
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 311 (137,115)
Citation 18

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realized volatility, forecasting, Value-at-Risk, Wishart

19.
Downloads 304 (140,508)
Citation 27

Measuring Sovereign Contagion in Europe

SAFE Working Paper No. 103
Number of pages: 92 Posted: 15 May 2015
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano - Faculty of Economics and Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 155 (263,396)
Citation 14

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Sovereign Risk, Contagion, Disintegration

Measuring Sovereign Contagion in Europe

Number of pages: 246 Posted: 17 Mar 2012 Last Revised: 13 Mar 2014
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano - Faculty of Economics and Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 130 (302,754)
Citation 4

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Sovereign Risk, Contagion

Measuring Sovereign Contagion in Europe

NBER Working Paper No. w18741
Number of pages: 58 Posted: 16 Sep 2020 Last Revised: 18 Mar 2022
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 19 (732,232)
Citation 10

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20.

Dynamic Principal Components: A New Class of Multivariate GARCH Models

Number of pages: 84 Posted: 04 Feb 2015
Gian Piero Aielli and Massimiliano Caporin
Independent and University of Padua - Department of Statistical Sciences
Downloads 286 (149,655)

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Spectral Decomposition, Principal Component Analysis, Orthogonal GARCH, Scalar BEKK, DCC, Multivariate GARCH, Two-step Estimation

21.

Ensemble Properties of High Frequency Data and Intraday Trading Rules

Number of pages: 27 Posted: 09 Feb 2012 Last Revised: 18 Jul 2013
University of Padua, Prime Minister's Office, University of Padua - Department of Statistical Sciences, University of Padua and University of Padua
Downloads 283 (151,291)
Citation 3

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time series ensemble, trading rule, long memory

22.

Comparing and Selecting Performance Measures for Ranking Assets

Number of pages: 35 Posted: 22 Apr 2009 Last Revised: 29 Jun 2009
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 262 (163,474)
Citation 7

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performance measurement, rank correlations, selecting performance measures, comparing performance measures, combining performance measures

23.

Precious Metals under the Microscope: A High-Frequency Analysis

University of St. Gallen, School of Finance Research Paper No. 2014/9, Forthcoming in Quantitative Finance
Number of pages: 30 Posted: 13 May 2013 Last Revised: 23 Jun 2014
Massimiliano Caporin, Angelo Ranaldo and Gabriel G. Velo
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Padua - Department of Economics
Downloads 260 (164,745)
Citation 2

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precious metals, high-frequency data, liquidity, commonality in liquidity, intradaily periodicity

Does Monetary Policy Impact International Market Co-Movement?

Paris December 2017 Finance Meeting EUROFIDAI - AFFI, Swiss Finance Institute Research Paper No. 17-47
Number of pages: 61 Posted: 29 May 2017 Last Revised: 04 Sep 2020
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 164 (251,066)

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Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovement, Sovereign credit risk

Does Monetary Policy Impact Sovereign Credit Risk Comovement?

SAFE Working Paper No. 276
Number of pages: 51 Posted: 14 May 2020 Last Revised: 21 Dec 2021
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 95 (379,596)
Citation 1

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Sovereign credit risk, Monetary policy, Quantitative easing, Mundellian trilemma, Comovement

25.

Any Role for Mean Reversion in Short Term Asset Allocation?

Number of pages: 37 Posted: 17 Feb 2009
Massimiliano Caporin, Frans de Roon and Loriana Pelizzon
University of Padua - Department of Statistical Sciences, Tilburg University - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 210 (201,982)

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mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

26.

Equity and CDS Sector Indices: Dynamic Models and Risk Hedging

Number of pages: 27 Posted: 03 Jun 2012
Massimiliano Caporin
University of Padua - Department of Statistical Sciences
Downloads 205 (206,598)

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optimal hedge ratios, equity risk hedging, bond risk, CDS index, VIX index, economic sectors

27.

The Evolution of Shadow Banking System in Emerging Economies: The Role of Entrusted Loans in China’s Capital Market

Number of pages: 41 Posted: 29 May 2018
Mayank Gupta and Massimiliano Caporin
Cass Business School City University London and University of Padua - Department of Statistical Sciences
Downloads 199 (212,259)

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China, Shadow Banking, Banks, Stress Tests, Off-Balance Sheet Investment Vehicles

28.

Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options

Number of pages: 38 Posted: 30 Sep 2010
Massimiliano Caporin, Juliusz Pres and Hipòlit Torró
University of Padua - Department of Statistical Sciences, Szczecin University of Technology and University of Valencia
Downloads 199 (212,259)
Citation 1

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weather derivatives, Quanto options pricing, derivative pricing, model simulation and forecast

29.

On the (Ab)Use of Omega?

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 02/WP/2015
Number of pages: 73 Posted: 03 Feb 2015 Last Revised: 12 Jul 2016
University of Padua - Department of Statistical Sciences, Ca' Foscari University of Venice, University Paris-1 Panthéon-Sorbonne and EMLyon Business School (Paris Campus)
Downloads 193 (218,148)
Citation 1

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Performance Measure, Omega, Return Distribution, Risk, Stochastic Dominance

30.

Market Linkages, Variance Spillovers and Correlation Stability: Empirical Evidences of Financial Contagion

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 18-07
Number of pages: 103 Posted: 09 Oct 2007
Monica Billio, Monica Billio and Massimiliano Caporin
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University of Padua - Department of Statistical Sciences
Downloads 189 (222,169)
Citation 1

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Financial market contagion, Market linkages, Variance spillovers, Dynamic correlations, Rolling correlations, Transformed correlations

31.

Memory Time-Varying Models for Weather Derivative Pricing

Number of pages: 61 Posted: 05 Jan 2009 Last Revised: 16 Dec 2009
Massimiliano Caporin and Juliusz Pres
University of Padua - Department of Statistical Sciences and Szczecin University of Technology
Downloads 179 (232,766)

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weather derivatives, long memory, time-varying long memory, derivative pricing, model simulation and forecast

32.

CDS Industrial Sector Indices, Credit and Liquidity Risk

Ca’ Foscari University of Venice Working Paper No. 09/WP/2012
Number of pages: 26 Posted: 10 Jul 2012
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 175 (237,338)
Citation 2

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credit risk, common factors, liquidity risk

33.

Structured Multivariate Volatility Models

Number of pages: 39 Posted: 21 Dec 2008 Last Revised: 29 Jun 2009
Massimiliano Caporin, Paolo Paruolo and Paolo Paruolo
University of Padua - Department of Statistical Sciences and Joint Research Center of the European CommissionEuropean Commission DG Joint Research Centre
Downloads 173 (239,669)
Citation 3

Abstract:

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MGARCH, Stochastic Volatility, Realized Volatility, Spatial models, ANOVA

34.

Modelling and Forecasting Wind Speed Intensity for Weather Risk Management

Number of pages: 37 Posted: 09 Dec 2009 Last Revised: 17 Dec 2009
Massimiliano Caporin and Juliusz Pres
University of Padua - Department of Statistical Sciences and Szczecin University of Technology
Downloads 172 (240,861)
Citation 4

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Gamma Auto Regressive, Auto Regressive Gamma, ARFIMA-FIGARCH, wind speed modeling, wind speed simulation

35.

Estimation and Model-Based Combination of Causality Networks

SAFE Working Paper No. 165
Number of pages: 95 Posted: 02 Feb 2017
Giovanni Bonaccolto, Massimiliano Caporin and Roberto Panzica
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and Joint Research Center of the European Commission
Downloads 161 (254,700)

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Granger Causality, Quantile Causality, Multi-Layer Network, Network Combination

Comparing and Selecting Performance Measures Using Rank Correlations

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 5, 2011-10
Number of pages: 36 Posted: 15 Dec 2011
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 89 (392,985)
Citation 1

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performance measurement, rank correlations, comparing performance measures

Comparing and Selecting Performance Measures Using Rank Correlations

Economics Discussion Paper No. 2011-14
Number of pages: 31 Posted: 08 Jun 2011
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 72 (445,331)
Citation 1

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performance measurement, rank correlations, comparing performance measures

37.

Methodological Aspects of Time Series Back-Calculation

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 56/06
Number of pages: 17 Posted: 12 Dec 2006
Massimiliano Caporin and Domenico Sartore
University of Padua - Department of Statistical Sciences and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 159 (257,393)
Citation 8

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benchmarking, retropolation, historical reconstruction, back-forecasting, missing past values, aggregation, disaggregation

38.

Proximity-Structured Multivariate Volatility Models

Number of pages: 30 Posted: 21 May 2009 Last Revised: 14 May 2013
Massimiliano Caporin, Paolo Paruolo and Paolo Paruolo
University of Padua - Department of Statistical Sciences and Joint Research Center of the European CommissionEuropean Commission DG Joint Research Centre
Downloads 150 (269,723)
Citation 5

Abstract:

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MGARCH, Stochastic Volatility, Realized Volatility, spatial models, ANOVA

39.

On the Role of Risk in the Morningstar Rating for Mutual Funds

Number of pages: 24 Posted: 22 May 2009 Last Revised: 12 Oct 2009
Francesco Lisi and Massimiliano Caporin
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 147 (274,183)

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Rater agreement, beta-equivalence, mutual funds, Morningstar rating

40.

Conditional Jumps in Volatility and Their Economic Determinants

Number of pages: 42 Posted: 09 Sep 2011
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Aarhus University - CREATES
Downloads 142 (281,697)
Citation 8

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volatility, jumps in volatility, realized range, HAR

41.

Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises

Number of pages: 72 Posted: 09 Oct 2013 Last Revised: 23 Oct 2013
University of Padua - Department of Statistical Sciences, Complutense University of Madrid and Universidad Rey Juan Carlos
Downloads 141 (283,262)

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Multivariate GARCH, conditional correlations, currency futures, optimal hedge ratios, hedging strategies.

42.

Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil

SAFE Working Paper No. 172
Number of pages: 56 Posted: 14 Jun 2017 Last Revised: 10 Nov 2017
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences, Ca' Foscari University of Venice and Drexel University - Lebow College of Business
Downloads 140 (284,855)

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Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies

43.

Multi-Jumps

Number of pages: 63 Posted: 30 Aug 2014
Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 134 (294,631)
Citation 1

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multi-jumps, co-jumps, price jumps, multivariate jumps, jumps testing

44.

Realized Range Volatility Forecasting: Dynamic Features and Predictive Variables

Number of pages: 32 Posted: 09 Sep 2013
Massimiliano Caporin and Gabriel G. Velo
University of Padua - Department of Statistical Sciences and University of Padua - Department of Economics
Downloads 134 (294,631)

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Realized Range Volatility, Long-memory, Volatility forecasting, Macroeconomic variables

45.

The Cross-Section of Expected Jumps in Equity Returns

Number of pages: 34 Posted: 29 Aug 2018 Last Revised: 04 Sep 2019
Massimiliano Caporin, Walter Distaso and Nancy Zambon
University of Padua - Department of Statistical Sciences, Imperial College Business School and University of Padua - Department of Economics
Downloads 129 (303,263)

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jumps, equity returns, risk premia

46.

Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 19-07
Number of pages: 32 Posted: 09 Oct 2007
Monica Billio, Monica Billio, Massimiliano Caporin and Guido Cazzavillan
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 127 (306,806)

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Business cycle, Chronology, Historical reconstruction, Monthly GDP

47.

ESG Sentiment Exposure: ESGSenRisk

Number of pages: 47 Posted: 06 May 2022
Runfeng Yang, Massimiliano Caporin and Juan-Angel Jiménez-Martin
Universidad Complutense de Madrid (UCM) - Instituto Complutense de Análisis Económico | ICAE, University of Padua - Department of Statistical Sciences and Complutense University of Madrid
Downloads 124 (312,236)

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ESG, ESG Risk Factor, Fama/MacBeth Risk Factor, Quantile Regression, CoVaR, ESG Sentiment

48.

A Conditional CAPM Model with Local Covariates for Detecting and Evaluating Active Management

Number of pages: 31 Posted: 27 Sep 2009
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 123 (314,146)

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conditional CAPM, time-varying parameters, local covariates, mutual funds

49.

Asset Allocation Strategies Based on Penalized Quantile Regression

Number of pages: 34 Posted: 03 Jul 2015
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 120 (319,748)
Citation 4

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Quantile regression, l1-norm penalty, pessimistic asset allocation

50.

Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators

Number of pages: 55 Posted: 13 May 2011
Gian Piero Aielli and Massimiliano Caporin
Independent and University of Padua - Department of Statistical Sciences
Downloads 119 (321,627)
Citation 4

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dynamic conditional correlations, time series clustering, multivariate GARCH, composite likelihood

51.

The Long-Run Oil-Natural Gas Price Relationship and the Shale Gas Revolution

Number of pages: 24 Posted: 15 Jul 2015
Massimiliano Caporin and Fulvio Fontini
University of Padua - Department of Statistical Sciences and University of Padova - Department of Economics and Management "Marco Fanno"
Downloads 118 (323,516)
Citation 2

Abstract:

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Shale Gas, Natural Gas, Crude Oil, Cointegration, Vector Error Correction Models

52.

Risk Spillovers in International Equity Portfolios

Number of pages: 32 Posted: 17 Jul 2011 Last Revised: 11 Mar 2012
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 115 (329,400)

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Risk spillover, portfolio risk, currency risk, variance forecasting, international portfolio, Wishart distribution

53.

Time-Varying Granger Causality Tests for Applications in Global Crude Oil Markets: A Study on the DCC-MGARCH Hong Test

SAFE Working Paper No. 324, Energy Economics, Vol. 111, 2022
Number of pages: 33 Posted: 14 Oct 2021 Last Revised: 21 Jun 2022
Massimiliano Caporin and Michele Costola
University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 106 (348,421)

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Granger Causality, Hong test, DCC-GARCH, Oil market, COVID-19

54.

Estimating Financial Networks by Realized Interdependencies: A Restricted Autoregressive Approach

Number of pages: 42 Posted: 09 Apr 2021
Massimiliano Caporin, Deniz Erdemlioglu and Stefano Nasini
University of Padua - Department of Statistical Sciences, IESEG School of Management, Department of Finance, LEM-CNRS 9221, France and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 104 (352,880)

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Financial networks, Financial interconnectedness, High-dimensional VARs, Realized volatility, Stock market, High-frequency data

55.

Modeling and Forecasting Realized Range Volatility

Marco Fanno Working Paper No. 128-2011
Number of pages: 10 Posted: 06 Feb 2011
Massimiliano Caporin and Gabriel G. Velo
University of Padua - Department of Statistical Sciences and University of Padua - Department of Economics
Downloads 100 (362,092)
Citation 1

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Statistical analysis of financial data, Econometrics, Forecasting methods, Time series analysis, Realized Range Volatility, Realized Volatility, Long-memory, Volatility forecasting

56.

Decomposing and Backtesting a Flexible Specification for CoVaR

Number of pages: 44 Posted: 05 Dec 2017
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 90 (386,858)
Citation 2

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CoVaR, CaViaR, Systemic Risk, Backtest, Decomposition

57.

Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500

Number of pages: 45 Posted: 02 Oct 2014
Massimiliano Caporin, Luca Corazzini and Michele Costola
University of Padua - Department of Statistical Sciences, University of Padua - Department of Economics and Ca' Foscari University of Venice
Downloads 89 (389,454)
Citation 1

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investment decision, behavioral agents, mixture model, behavioral expectations

58.

The Value of Protecting Venice from the Acqua Alta Phenomenon Under Different Local Sea Level Rises

Number of pages: 20 Posted: 20 Feb 2014
Massimiliano Caporin and Fulvio Fontini
University of Padua - Department of Statistical Sciences and University of Padova - Department of Economics and Management "Marco Fanno"
Downloads 84 (403,303)
Citation 1

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Acqua Alta, Local Sea Level Rise, Cost-Benefit

59.

Time-Varying Persistence in US Inflation

Number of pages: 20 Posted: 09 Oct 2014
Massimiliano Caporin and Rangan Gupta
University of Padua - Department of Statistical Sciences and University of Pretoria - Department of Economics
Downloads 80 (414,911)

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Persistence, US Inflation Rate, Time-Varying Long Memory

60.

Chasing Volatility: A Persistent Multiplicative Error Model with Jumps

Number of pages: 50 Posted: 30 Aug 2014
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Aarhus University - CREATES
Downloads 78 (420,989)
Citation 3

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Multiplicative Error Model with Jumps, Jumps in volatility, Realized measures, Volatility-at-Risk

61.

A Forecast Based Comparison of Restricted Realized Covariance Models

Number of pages: 35 Posted: 24 Feb 2010
Massimiliano Caporin, Angelo Ranaldo and Matteo Bonato
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Johannesburg - Department of Economics and Econometrics
Downloads 76 (427,272)

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Realized covariance, WAR, HAR, multivariate volatility forecasts

62.

Backward/Forward Optimal Combination of Performance Measures for Equity Screening

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13
Number of pages: 31 Posted: 29 Jul 2012
Monica Billio, Monica Billio, Massimiliano Caporin and Michele Costola
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 73 (436,743)
Citation 3

Abstract:

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performance measures, combining performance measures, portfolio

63.

Modelling and Forecasting the Realized Range Conditional Quantiles

Number of pages: 42 Posted: 12 Oct 2014
Giovanni Bonaccolto and Massimiliano Caporin
University "Kore" of Enna and University of Padua - Department of Statistical Sciences
Downloads 69 (450,057)
Citation 1

Abstract:

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Realized Range Volatility, Quantile regression, Volatility quantiles forecasting

64.

Backard/Forward Optimal Combination of Performance Measures for Equity Screening

Number of pages: 31 Posted: 12 Jul 2012
Monica Billio, Monica Billio, Massimiliano Caporin and Michele Costola
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 64 (467,680)

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performance measures, combining performance measures, portfolio allocation, equity screening, differential evolution

65.

Do Jumps Matter in Realized Volatility Modeling and Forecasting? Empirical Evidence and a New Model

Number of pages: 103 Posted: 06 Aug 2020
Massimiliano Caporin
University of Padua - Department of Statistical Sciences
Downloads 62 (475,084)

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jumps, staleness, HAR, forecasting, Realized Volatility

66.

Misspecification Tests for Periodic Long Memory GARCH Models

Number of pages: 19 Posted: 06 Aug 2008
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 62 (475,084)

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Long Memory, Generalized Long Memory GARCH models, PLM- GARCH models, misspecification tests

67.

Estimating Time-Varying Networks With a State-Space Model

Number of pages: 34 Posted: 08 Feb 2021
Shaowen Liu, Massimiliano Caporin and Sandra Paterlini
University of Padova - Department of Statistical Sciences, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 61 (478,956)

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state-space mode, dynamic network, spatial dependence, sequential fiters

68.

Analytical Gradients of Dynamic Conditional Correlation models

Number of pages: 15 Posted: 22 Jan 2011 Last Revised: 14 Jun 2011
Massimiliano Caporin
University of Padua - Department of Statistical Sciences
Downloads 60 (482,776)

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DCC, cDCC, analytical gradient

69.

Fast Clustering of GARCH Processes Via Gaussian Mixture Models

Number of pages: 28 Posted: 03 Jun 2012
Gian Piero Aielli and Massimiliano Caporin
Independent and University of Padua - Department of Statistical Sciences
Downloads 58 (490,540)

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Gaussian Mixtures, financial time series clustering, Multivariate GARCH, block structures

70.

Asymmetry and Uncertainty Across Energy and FX Markets

Number of pages: 33 Posted: 11 Nov 2014
Ahmed A.A. Khalifa, Massimiliano Caporin and Shawkat M. Hammoudeh
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences and Drexel University - Lebow College of Business
Downloads 47 (537,396)

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Asymmetry, Interdependence, Uncertainty, Business cycle, Energy, FX

71.

Impact of COVID-19 on Financial Returns: A Spatial Dynamic Panel Data Model with Random Effects

Number of pages: 21 Posted: 22 Dec 2021
Anna Gloria Billé and Massimiliano Caporin
University of Padua and University of Padua - Department of Statistical Sciences
Downloads 43 (556,680)

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COVID-19, Financial crisis, Spatio-temporal modeling

72.

Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 16/WP/2015
Number of pages: 37 Posted: 17 Jun 2015
Michele Costola and Massimiliano Caporin
Ca' Foscari University of Venice and University of Padua - Department of Statistical Sciences
Downloads 38 (582,311)

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learner agent, investment decision, behavioral agents, Bayesian updating

73.

Option Pricing with Anomalous Scaling and Infinite-State Switching Volatility

Number of pages: 53 Posted: 03 Jun 2013
University of Padua, University of Padua - Department of Statistical Sciences, University of Padua, University of Padua and Human Genetics Foundation
Downloads 36 (593,386)
Citation 1

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option pricing, anomalous scaling, Markov switching, GARCH

74.

On the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis

Number of pages: 33 Posted: 17 May 2022
Giovanni Bonaccolto and Massimiliano Caporin
Kore University of Enna - School of Economics and Law and University of Padua - Department of Statistical Sciences
Downloads 35 (599,016)

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principal component analysis, dynamic principal component GARCH, risk factors, principal components ordering

75.

Does Monetary Policy Impact Sovereign Credit Risk Comovement?

Number of pages: 49 Posted: 20 Dec 2021
Loriana Pelizzon, Massimiliano Caporin and Alberto Plazzi
Leibniz Institute for Financial Research SAFE, University of Padua - Department of Statistical Sciences and Universita' della Svizzera italiana
Downloads 26 (655,770)

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Sovereign credit risk, Monetary Policy, Quantitative easing, Mundellian trilemma, Comovement

76.

Price Convergence within and between the Italian Electricity Day-Ahead and Dispatching Services Markets

Number of pages: 48 Posted: 11 Feb 2018
Massimiliano Caporin, Fulvio Fontini and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, University of Padova - Department of Economics and Management "Marco Fanno" and Aarhus University - CREATES
Downloads 25 (662,975)

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zonal prices, convergence between zones, convergence within zones, fractional cointegration, long-run equilibrium

77.

A Note on Calculating Autocovariances of Long-Memory Processes

Number of pages: 6 Posted: 23 Jun 2003
Stefano Bertelli and Massimiliano Caporin
affiliation not provided to SSRN and University of Padua - Department of Statistical Sciences
Downloads 24 (670,324)

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78.

Monitoring Financial Stress Spillovers with High-Frequency Principal Components

Number of pages: 37 Posted: 26 May 2022
Complutense University of Madrid, University of Padua - Department of Statistical Sciences and affiliation not provided to SSRN
Downloads 21 (693,212)

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High-frequency, Principal components, financial system, systemic risk

79.

Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices (Web Appendix)

Number of pages: 35 Posted: 07 Nov 2015
Michele Costola and Massimiliano Caporin
Ca' Foscari University of Venice and University of Padua - Department of Statistical Sciences
Downloads 16 (733,632)

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combining performance measures, portfolio allocation, learning agent process

80.

The Systemic Risk of Us Oil and Natural Gas Companies

Number of pages: 41 Posted: 08 Jul 2022 Last Revised: 29 Jul 2022
Massimiliano Caporin, Fulvio Fontini and Roberto Panzica
University of Padua - Department of Statistical Sciences, University of Padova - Department of Economics and Management "Marco Fanno" and Joint Research Center of the European Commission
Downloads 12 (769,662)

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Systemic risk, Oil and Natural Gas, Fossil Fuel, Energy J.E.L. classification: Q43, Q40, G10, C21, C58

81.

The Asymmetric Relationship between Conventional/Shale Rig Counts and Wti Oil Prices

Number of pages: 46 Posted: 07 Jan 2022
Fulvio Fontini, Massimiliano Caporin and Rocco Romaniello
University of Padova - Department of Economics and Management "Marco Fanno", University of Padua - Department of Statistical Sciences and affiliation not provided to SSRN
Downloads 12 (769,662)

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shale rig count, conventional rig count, drilling trajectory, WTI price, VAR, Impulse Response Function

82.

A Survey on the Four Families of Performance Measures

Journal of Economic Surveys, Vol. 28, Issue 5, pp. 917-942, 2014
Number of pages: 26 Posted: 28 Oct 2014
University of Padua - Department of Statistical Sciences, University Paris-1 Panthéon-Sorbonne, University of Padua - Department of Statistical Sciences and EMLyon Business School (Paris Campus)
Downloads 0 (905,910)
Citation 4

Abstract:

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Fund selection, Performance measures, Ranking, Return Distribution, Risk

83.

Evaluating Value-at-Risk Measures in Presence of Long Memory Conditional Volatility

Journal of Risk, Vol. 10, No. 3, 2008
Posted: 29 Dec 2008
Massimiliano Caporin
University of Padua - Department of Statistical Sciences

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long memory, Value-at-Risk, loss functions, capital charges

84.

Dynamic Asymmetric Garch

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 385-412, 2006
Posted: 29 Feb 2008
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute

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asymmetric volatility, DAGARCH, stationarity conditions, threshold GARCH